[Rd] bug in acf (PR#9360)
A.I. McLeod
aim at stats.uwo.ca
Mon Nov 13 20:24:45 CET 2006
> I don't think that's a reasonable expectation. You've got an empty sum
> in the formula for the lag 1 autocovariance:
>
> sum_{i=1}^0 phi_i phi_{i+1}
>
> R is assuming that's not what you meant and is reporting it as an error.
> If it gave you any value, it should be zero, not phi^2.
>
********************************************
I agree the empty sum which is the lag 1 autocovariance should be zero but this is the SECOND term in $acf output.
For the first term,
1) if demean=F, it is variance which is phi^2 as I suggested
2) if demean=T, it is the variance/variance = 0/0 which I said should best be 1
----- Original Message -----
From: "Duncan Murdoch" <murdoch at stats.uwo.ca>
To: <aimcleod at uwo.ca>
Cc: <r-devel at stat.math.ethz.ch>; <R-bugs at biostat.ku.dk>
Sent: Monday, November 13, 2006 11:22 AM
Subject: Re: [Rd] bug in acf (PR#9360)
> On 11/13/2006 10:30 AM, aimcleod at uwo.ca wrote:
>> Full_Name: Ian McLeod
>> Version: 2.3.1
>> OS: Windows
>> Submission from: (NULL) (129.100.76.136)
>>
>>
>>> There is a simple bug in acf as shown below:
>>>
>>> z <- 1
>>> acf(z,lag.max=1,plot=FALSE)
>>> Error in acf(z, lag.max = 1, plot = FALSE) :
>>> 'lag.max' must be at least 1
>>>
>> This is certainly a bug.
>
> I'd say it's a documentation bug, rather than a code bug.
>>
>> There are two problems:
>>
>> (i) the error message is wrong since lag.max is set to 1. Perhaps, if the
>> function acf can not be used for in this situaiton, a different error message
>> would be more appropriate. I understand why this might be done but I don't
>> think it is the best approach.
>
> What happens is that lag.max is reduced to length(z)-1, which is zero in
> your case. This change should be mentioned in the documentation.
>
>> (ii) Please look at the function GetB which is attached. This is part a
>> computation for a fast algorithm for exact mle of mean. Usually phi here are
>> the coefficients from a high order AR but when I tried for AR(1) I got the error
>> message. So the workaround is given. Notice that I use:
>>
>> p*as.vector(acf(phi,lag.max=p,type="covariance",demean=FALSE,plot=FALSE)$acf)
>>
>> so what I expect to get when p=length(phi)=1 is just phi^2. This is what
>> happens in Mathematica with ListCorrelate[{phi},{phi}]. When you have
>> acf="correlation" and demean=TRUE then one gets 0/0 which should be defined as 1
>> in this situation.
>
> I don't think that's a reasonable expectation. You've got an empty sum
> in the formula for the lag 1 autocovariance:
>
> sum_{i=1}^0 phi_i phi_{i+1}
>
> R is assuming that's not what you meant and is reporting it as an error.
> If it gave you any value, it should be zero, not phi^2.
>
> Duncan Murdoch
>
>>
>> Probably if the R authors just want to use acf for data analysis they may simply
>> choose to require length(x)>1 in acf(x,...) although I don't see the harm in my
>> suggestion either.
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